Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 3 1 2
Score -4.47 -5.18 -5.56
Market Cap (Millions USD) 178.07 125.14 125.45
Predicted Beta 0.43 0.43 0.44
Idiosyncratic Volatility 1.88 2.2 2.93

Annualized return and volatility

ADRE
Annualized Return 0.1004
Annualized Std Dev 0.2894
Annualized Sharpe (Rf=0%) 0.3470

Row

Daily Return Statistics

ADRE
Observations 4381.0000
NAs 733.0000
Minimum -0.1592
Quartile 1 -0.0071
Median 0.0006
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0090
Maximum 0.2506
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0011
Variance 0.0003
Stdev 0.0182
Skewness 0.3797
Kurtosis 16.0101

Downside Risk

ADRE
Semi Deviation 0.0129
Gain Deviation 0.0137
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0172
Downside Deviation (Rf=0%) 0.0127
Downside Deviation (0%) 0.0127
Maximum Drawdown 0.6428
Historical VaR (95%) -0.0270
Historical ES (95%) -0.0431
Modified VaR (95%) -0.0215
Modified ES (95%) -0.0215
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2018-01-24 -0.6428 2620 273 2347
2018-01-29 2018-12-24 NA -0.2701 490 233 NA
2006-05-10 2006-06-13 2006-11-22 -0.2680 140 24 116
2007-07-24 2007-08-16 2007-09-18 -0.1946 41 18 23
2004-03-02 2004-05-17 2004-11-05 -0.1898 176 55 121

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ADRE
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA NA NA NA NA NA NA NA NA
2001 NA NA NA NA NA NA NA NA NA NA NA NA NA
2002 NA NA NA NA NA NA NA NA NA NA 0.0 0.0 NA
2003 0.0 0.0 0.5 0.0 0.0 1.2 -10.1 0.0 2.4 0.0 2.4 0.0 -4.1
2004 0.0 2.9 1.1 0.0 -0.7 -0.5 0.0 1.1 2.8 0.3 1.4 0.0 8.6
2005 0.8 -0.6 0.9 0.0 0.9 0.3 1.3 1.4 0.0 1.4 2.3 0.0 9.1
2006 -0.2 2.7 0.0 0.8 2.0 0.0 -1.3 1.6 0.0 -0.4 -0.8 0.0 4.4
2007 1.4 -1.3 0.0 0.4 2.3 0.0 -1.6 0.0 3.8 -3.6 0.0 0.0 1.1
2008 2.3 0.0 4.2 1.1 0.0 -1.3 -1.3 0.0 -0.7 0.0 -10.1 0.0 -6.3
2009 0.0 0.0 3.8 2.0 3.8 1.5 0.0 -2.1 -2.9 0.0 2.7 0.0 8.8
2010 2.6 1.5 2.1 0.0 -1.1 0.4 0.0 3.2 1.4 1.0 2.4 0.0 14.1
2011 2.2 -0.8 1.3 0.0 -1.5 1.2 0.4 0.0 0.0 -2.4 0.6 0.0 0.9
2012 2.0 1.3 0.0 0.6 -2.4 0.0 0.2 0.0 0.8 1.4 0.0 0.0 3.8
2013 1.0 0.1 -0.8 -1.1 0.0 0.2 1.4 0.0 1.5 -0.1 0.0 0.0 2.1
2014 0.0 0.0 1.2 -0.1 0.0 1.0 0.0 0.0 -2.5 0.0 -2.6 0.0 -3.0
2015 0.0 0.0 1.1 0.5 0.0 -0.7 0.0 -3.0 0.1 0.0 1.1 0.0 -1.0
2016 0.0 3.5 0.2 0.0 -0.3 0.4 0.3 0.5 0.0 -1.3 -2.8 0.0 0.3
2017 0.3 1.2 0.0 0.6 0.7 0.0 0.5 0.5 0.0 0.4 -0.6 0.0 3.7
2018 -1.0 -1.3 0.0 0.0 1.5 0.0 -1.0 0.0 0.1 3.1 0.0 0.0 1.4
2019 0.0 0.0 1.0 0.4 0.0 2.0 -2.1 0.0 -0.3 1.1 0.0 -0.6 1.5

Row

Rolling Performance Chart

Snail Trail Chart